Filters definitely have their place. The filters I use are: Polarizer, Graduated Neutral Density, and sometimes an 81B warming filter. Now with Photoshop and digital cameras I'm less likely to use the 81B.
The polarizing filter is a must if you are going to be shooting around water. Just like your sunglasses it is going to reduce glare allowing for more saturated colors. Don't cheap out on filters though especially if you have spent good money to get good lenses.
The graduated neutral density filter will allow you to darken bright areas in the frame to bring the exposure latitude back into the realm that the camera can render. Again...get a good one because the less expensive ones will tend to have a color cast to them.
Many of the funky distortion effects can be done in Photoshop. If you shoot with a filter on the camera the only shot you will have is the distorted one....if you change it later...then you have the original and the distorted image.